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Kapitalmarktanomalien und Rendite-Risiko-Beziehung bei einem ineffizienten Marktindex

Hamerle, Alfred and Rösch, Daniel (1996) Kapitalmarktanomalien und Rendite-Risiko-Beziehung bei einem ineffizienten Marktindex. Financial Markets and Portfolio Management 10 (1), pp. 61-74.

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Other URL: http://www.fmpm.ch/files/1996_01_Hamerle.pdf


Abstract

Many empirical studies have found little relation between sample mean returns of securities and estimated betas. Some of the studies have uncovered variables other than beta (e.g. firm size, ratio of book-to-market value, price/earnings ratio) that have power in explaining the sample cross-sectional variation in mean returns. The present paper shows that a possible explanation is that market ...

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Item type:Article
Date:1996
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:28340
Owner only: item control page
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